After a long period of aggressive expansion, the time had to come for one Roman emperor to put a stop to it and say out loud that Rome was not actually destined to rule the entire world and that the Empire had to have stable borders. This man was Hadrian, and to secure the borders of the Province of Britannia, he had this magnificent wall built between the coasts of the North and Irish Seas to separate, as the famous statement goes, "the Romans from the Barbarians". (Later, though, the borders were pushed even further north, when the Romans built the Antonine Wall in today's Glasgow-Edinburgh area and the south of Scotland was also part of the Empire). Breathtaking views make a hike along the wall a wonderful experience (and you can see the oaktree featured in "Robin Hood, Prince of Thieves"...) that nourishes your body as well as your mind. Roman history and their way of thinking rarely can be appreciated so closely. It is surprisingly easy to visit the Wall, at least coming (as I did) from Newcastle, where the AD122 bus waits for you. The sites of Vindolanda, Housesteads, and Chesters are especially interesting and give a great overview of the area's history and archaeology, especially about the Romans' daily life. Many letters from the soldiers posted here have survived, and some are quite funny, such as the auxiliary troops from Spain and Syria complaining about the miserable weather. I went there on a glorious (but probably rare) summer day, but I think the area is interesting even in winter. One of the best sights I have seen in all Britain.
On a separate trip to Germany, I visited the Saalburg, a reconstructed border castle near Bad Homburg. It was actually built around 1900 on the orders of Kaiser Wilhelm, and provides interesting insights into Roman life on the frontier. Some original features are still preserved, both inside and outside the castle, as well as some actual remains of the Limes itself, about a 10-minute walk away from the castle through the forest (complete with "You are now leaving the Roman Empire" signs).
On yet another trip, I went to see the Antonine Wall. From Falkirk station (on the line between Glasgow and Edinburgh), I took a taxi to the site of Rough Castle and took a walk around - there is really not much left to see, basically only trenches and other changes in the landscape, no built structures. There are some helpful signs, but you need a bit of imagination here.